Mathematical Research at FSU

Financial Mathematics

Financial mathematics is an active interdisciplinary field incorporating pure and applied mathematics related to problems in finance. Related mathematical areas
include probability and statistics, stochastic processes, PDE and SDE, game theory, control theory, analysis, and optimization.

At FSU, Brian Ewald has research interests in stochatistic volatility, stochastic interest rate models, and quantum finance. Alec Kercheval works on portfolio and credit risk, dependence models, fixed income models, and problems related to high frequency limit order book dynamics.
Kyounghee Kim is interested in interest rate modeling using probabilistic methods.
Craig Nolder is interested in random dynamical systems and stochastic equilibria, evolutionary finance, game theory, and stochastic portfolio theory.
Giray Okten works on Monte Carlo and quasi-Monte Carlo simulation as they apply to pricing and estimating sensitivities of derivatives, variance reduction techniques, and high performance financial computing.
Arash Fahim works on Monte Carlo methods for PDEs, robust Hedging, and transaction cost.
Lingjiong Zhu works on derivatives pricing, limit order books, and credit risk.